Stochastic Portfolio Theory: A Machine Learning Perspective

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Short-term relative arbitrage in volatility-stabilized markets

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Stochastic portfolio theory: A survey

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On optimal arbitrage

Daniel Fernholz and Ioannis Karatzas · 2010

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Elliptical slice sampling

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Optimal arbitrage under model uncertainty

Daniel Fernholz and Ioannis Karatzas · 2011

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Optimal Trading Strategies Under Arbitrage

Johannes Ruf · 2011

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Scalable Inference for Structured Gaussian Process Models

Hedging under arbitrage

Johannes Ruf · 2013

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The geometry of relative arbitrage

Soumik Pal and Ting-Kam Leonard Wong · 2014

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Generalized volatility-stabilized processes

Radka Picková · 2014

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Generalizations of functionally generated portfolios with applications to statistical arbitrage

Winslow Strong · 2014

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Topics in Stochastic Portfolio Theory

Original

Alexander Vervuurt · 2015

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Diversity-weighted portfolios with negative parameter

Alexander Vervuurt and Ioannis Karatzas · 2015

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